You use UDP (as opposed to TCP) when you want to send data but don't need to wait for any response. A good example is streaming metrics when you can afford to miss some by the metrics aggregator or sending out player location data in a multiplayer game - if you miss the player location update in packet N, you'll just get the update in the N+1 packet or later and update their position at that time. This is totally different than TCP where you want the other server to acknowledge they got the packet else you send it again.

So the joke is a play on words. "You may not get it, the udp packet" (because that is how UDP works by design) and "you may not get it, the joke" (due to being unfamiliar with UDP).